Explain asymptotic analysis in interest rate model
Explain asymptotic analysis in interest rate model.
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Interest rate model is made tractable through exploiting an asymptotic approximation to the governing equation which is highly exact in practice. The asymptotic analysis simplifies a problem that would otherwise have to be solved numerically. Though, asymptotic analysis has been used in financial problems before, for illustration in modelling transaction costs, it was the first time it actually entered mainstream quantitative financial.
Explain the term FIGARCH as of the GARCH’s family.
Explain different types of hedge.
Explain the modern methodology for calculating tail risk by using Extreme Value Theory.
Describe necessary condition for a fixed-for-floating interest rate swap to be possible?For fixed-for-floating interest rate swap to be possible it is essential for a quality spread differential to be present. Generally, the default-risk premiu
Illustrates an example of measure of risk aversion?
Explain the term NGARCH as of the GARCH’s family.
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What is rehedging the portfolio?
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